APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
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Publication:3583032
DOI10.1017/S1365100509991052zbMath1193.91111MaRDI QIDQ3583032
Douglas M. Patterson, Richard A. Ashley
Publication date: 26 August 2010
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Uses Software
Cites Work
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- A Note on Penalized Spline Smoothing With Correlated Errors
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Long memory and regime switching
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